Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period

Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period

This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper ill...

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Bibliographic Details
Main Authors: Tiejun Chen, Chi Keung Marco Lau, Sadaf Cheema, Chun Kwong Koo
Format: Article
Language:English
Published: Frontiers Media S.A. 2021-03-01
Series:Frontiers in Public Health
Subjects:
COVID-19 pandemic
bitcoin
cryptocurrency markets
Chinese economy
EPU
Online Access:https://www.frontiersin.org/articles/10.3389/fpubh.2021.651051/full
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spelling doaj-9224b8cd8f664e15a725dd23bee5ebb52021-03-11T06:02:09ZengFrontiers Media S.A.Frontiers in Public Health2296-25652021-03-01910.3389/fpubh.2021.651051651051Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 PeriodTiejun Chen0Chi Keung Marco Lau1Sadaf Cheema2Chun Kwong Koo3Business School, Zhejiang University of Technology, Hangzhou, ChinaBusiness School, Teesside University, Middlesbrough, United KingdomBusiness School, The University of Huddersfield, Huddersfield, United KingdomBusiness School, Shanghai University, Shanghai, ChinaThis paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper illustrates that the current CEPU has a positive impact on the returns of Bitcoin. However, the positive impact is statistically significant only at the higher quantiles of the current CEPU. It is concluded that Bitcoin can be used in hedging against policy uncertainties in China since significant rises in uncertainty leads to a higher return in Bitcoin.JEL Codes: G32; G15; C22https://www.frontiersin.org/articles/10.3389/fpubh.2021.651051/fullCOVID-19 pandemicbitcoincryptocurrency marketsChinese economyEPU
collection DOAJ
language English
format Article
sources DOAJ
author Tiejun Chen
Chi Keung Marco Lau
Sadaf Cheema
Chun Kwong Koo
spellingShingle Tiejun Chen
Chi Keung Marco Lau
Sadaf Cheema
Chun Kwong Koo
Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
Frontiers in Public Health
COVID-19 pandemic
bitcoin
cryptocurrency markets
Chinese economy
EPU
author_facet Tiejun Chen
Chi Keung Marco Lau
Sadaf Cheema
Chun Kwong Koo
author_sort Tiejun Chen
title Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
title_short Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
title_full Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
title_fullStr Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
title_full_unstemmed Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
title_sort economic policy uncertainty in china and bitcoin returns: evidence from the covid-19 period
publisher Frontiers Media S.A.
series Frontiers in Public Health
issn 2296-2565
publishDate 2021-03-01
description This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper illustrates that the current CEPU has a positive impact on the returns of Bitcoin. However, the positive impact is statistically significant only at the higher quantiles of the current CEPU. It is concluded that Bitcoin can be used in hedging against policy uncertainties in China since significant rises in uncertainty leads to a higher return in Bitcoin.JEL Codes: G32; G15; C22
topic COVID-19 pandemic
bitcoin
cryptocurrency markets
Chinese economy
EPU
url https://www.frontiersin.org/articles/10.3389/fpubh.2021.651051/full
work_keys_str_mv AT tiejunchen economicpolicyuncertaintyinchinaandbitcoinreturnsevidencefromthecovid19period
AT chikeungmarcolau economicpolicyuncertaintyinchinaandbitcoinreturnsevidencefromthecovid19period
AT sadafcheema economicpolicyuncertaintyinchinaandbitcoinreturnsevidencefromthecovid19period
AT chunkwongkoo economicpolicyuncertaintyinchinaandbitcoinreturnsevidencefromthecovid19period
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